2000 character limit reached
A note on the Esscher transform of affine Markov processes
Published 9 Sep 2016 in math.PR | (1609.02718v1)
Abstract: In affine models, both the martingale property of stochastic exponentials and non-explosion of affine processes is characterized in terms of minimality of solutions to a system of generalized Riccati differential equations. This is the final improvement of previous results by Duffie, Filipovic and Schachermayer (2003), Mayerhofer, Muhle-Karbe and Smirnov (2011) and Keller-Ressel and Mayerhofer (2015) for processes on canonical state spaces.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.